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Time Varying Risk Premia in Futures Markets
Author:
Graciela Laura Kaminsky null

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Mr. Manmohan S. Kumar
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Series:
IMF Working Papers
Volume/Issue:
Volume 1990: Issue 116
Language:
English
Publication Date:
01 Dec 1990
DOI:
https://doi.org/10.5089/9781451941968.001
ISBN:
9781451941968
ISSN:
1018-5941
Pages:
32
Keywords:
WP; null hypothesis; expected return; commodity risk; futures risk premium; excess return; portfolio asset; risk premia; corn futures; risk premium hypothesis; Return on investment; Futures markets; Futures; Agricultural commodities
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund